Money Market Fund Statistics Data as of

January 31, 2019

February 15, 2019

U.S. Securities and Exchange Commission

Division of Investment Management

Analytics Office

This is a report of the Staff of the Division of Investment Management of the U.S. Securities and Exchange Commission. The Commission has expressed no view regarding this report or the information contained in it.

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TOPIC 1/31/2019 Change 12/31/2018 Page Number of Money Market Funds Reporting (Not Including Feeder Funds) 369 -1 370 3

Assets (in billions) Total Money Market Funds $3,329.3 $31.4 $3,297.9 4

Prime Funds $814.9 $50.7 $764.2

Government & Treasury Funds $2,368.5 -$15.5 $2,384.0

Tax Exempt Funds $145.8 -$3.9 $149.7

7-Day Yields Gross Prime Funds 2.64% 0.04% 2.60% 5

Government & Treasury Funds 2.45% - 2.45%

Tax Exempt Funds 1.45% -0.31% 1.76%

7-Day Yields Prime Funds Gross 2.64% 0.04% 2.60% 6

Net 2.46% 0.04% 2.42% Expense Ratio 0.18% -0.01% 0.19% Weighted Average Life (WAL), Weighted by Fund Assets Prime Funds 60.0 days -0.2 days 60.2 days 7

Government & Treasury Funds 88.0 days -0.3 days 88.3 days

Tax Exempt Funds 27.9 days -0.1 days 28.0 days Weighted Average Maturity (WAM), Weighted by Fund Assets Prime Funds 30.4 days 1.7 days 28.7 days 8

Government & Treasury Funds 28.7 days -1.9 days 30.6 days

Tax Exempt Funds 26.0 days -0.1 days 26.1 days Liquidity of Prime Funds, As a Percent of Total Amortized Cost Daily Liquidity 34.2% 0.1% 34.1% 9

Weekly Liquidity 48.7% -0.2% 48.9%

Prime Funds' Bank Holdings Holdings by Country 10

Change in Holdings by Country 11

Holdings by Major Region 12 Prime Funds' Portfolio Composition (in billions) Certificates of Deposit $289.4 (35.1%) $43.6 $245.8 (32.2%) 13

Non-Financial Co. Commercial Paper (CP) & Other Short Term Instruments $99.4 (12.1%) -$0.5 $99.9 (13.1%)

Government & Treasury (Direct and Repo) $216.2 (26.2%) $3.4 $212.8 (27.9%)

Financial Co. Commercial Paper (CP) $160.7 (19.5%) $11.6 $149.1 (19.5%)

Asset Backed Commercial Paper (ABCP) $58.3 (7.1%) $3.1 $55.2 (7.2%)

Non-Government Securities All Taxable Funds 19.1% 1.8% 17.3% 14 MMF Repo with the Fed (in billions) $1.0 -$38.6 $39.6 15 Longer-Maturity Securities 60 Days and Over 36.3% 0.3% 36.0% 16 180 Days and Over 7.9% 0.7% 7.2%

Information presented in this report is based upon data reported by filers for the period ending January 31, 2019, except where specifically noted that a chart incorporates staff judgments. The presented information does reflect data from amended filings submitted after the required reporting deadline. Some calculations in the change column in the above table of contents and in the tables below may not appear to total as expected due to rounding. If staff identify data in this report that requires correction, an amended report will be published with the corrected information.

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Number of Funds

1/31/2017 411 2/28/2017 411 3/31/2017 411 4/30/2017 412 5/31/2017 411 6/30/2017 410 7/31/2017 406 8/31/2017 406 9/30/2017 406 10/31/2017 399 11/30/2017 382 12/31/2017 379 1/31/2018 380 2/28/2018 379 3/31/2018 379 4/30/2018 381 5/31/2018 381 6/30/2018 381 7/31/2018 382 8/31/2018 383 9/30/2018 383 10/31/2018 381 11/30/2018 379 12/31/2018 370 1/31/2019 369

300

320

340

360

380

400

420

Trend in Number of Money Market Funds

Does not include feeder funds

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(Millions) Prime Govt & Treas Tax Exempt Total

1/31/2017 $562,085 $2,219,739 $135,356 $2,917,180 2/28/2017 $586,970 $2,209,607 $134,789 $2,931,366 3/31/2017 $599,142 $2,195,143 $135,376 $2,929,662 4/30/2017 $608,918 $2,175,191 $132,925 $2,917,033 5/31/2017 $611,372 $2,175,570 $133,872 $2,920,815 6/30/2017 $615,355 $2,148,708 $133,083 $2,897,146 7/31/2017 $624,925 $2,156,749 $135,353 $2,917,026 8/31/2017 $641,734 $2,213,514 $132,996 $2,988,245 9/30/2017 $664,471 $2,237,950 $132,027 $3,034,448

10/31/2017 $665,484 $2,226,755 $132,691 $3,024,931 11/30/2017 $679,795 $2,267,558 $132,898 $3,080,251 12/31/2017 $666,173 $2,324,868 $134,427 $3,125,468 1/31/2018 $669,379 $2,270,227 $141,612 $3,081,218 2/28/2018 $666,613 $2,315,094 $140,201 $3,121,907 3/31/2018 $663,172 $2,273,435 $137,118 $3,073,725 4/30/2018 $685,308 $2,283,454 $135,953 $3,104,714 5/31/2018 $686,014 $2,321,558 $142,765 $3,150,337 6/30/2018 $677,138 $2,282,219 $139,103 $3,098,461 7/31/2018 $701,413 $2,277,786 $134,491 $3,113,690 8/31/2018 $732,552 $2,275,969 $135,093 $3,143,613 9/30/2018 $746,446 $2,274,076 $135,169 $3,155,690

10/31/2018 $743,331 $2,282,414 $138,142 $3,163,887 11/30/2018 $771,749 $2,338,205 $143,243 $3,253,196 12/31/2018 $764,185 $2,384,001 $149,687 $3,297,873 1/31/2019 $814,933 $2,368,544 $145,816 $3,329,293

0

500,000

1,000,000

1,500,000

2,000,000

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3,000,000

Mill

ions

Trend in Money Market Fund Assets, by Type of Fund Prime Govt & Treas Tax Exempt

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Wtd Avg Gross Prime Wtd Avg Gross Govt & Treas Wtd Avg Gross Tax Exempt 1/31/2017 0.91% 0.60% 0.72% 2/28/2017 0.91% 0.61% 0.70% 3/31/2017 1.03% 0.76% 0.87% 4/30/2017 1.08% 0.80% 0.94% 5/31/2017 1.09% 0.84% 0.84% 6/30/2017 1.23% 1.00% 0.93% 7/31/2017 1.27% 1.06% 0.88% 8/31/2017 1.28% 1.07% 0.86% 9/30/2017 1.28% 1.08% 0.96%

10/31/2017 1.29% 1.10% 0.96% 11/30/2017 1.32% 1.14% 1.00% 12/31/2017 1.52% 1.33% 1.59% 1/31/2018 1.58% 1.38% 1.18% 2/28/2018 1.63% 1.45% 1.16% 3/31/2018 1.86% 1.69% 1.46% 4/30/2018 1.96% 1.74% 1.71% 5/31/2018 2.02% 1.80% 1.24% 6/30/2018 2.16% 1.94% 1.53% 7/31/2018 2.18% 1.96% 1.10% 8/31/2018 2.19% 2.01% 1.59% 9/30/2018 2.26% 2.12% 1.59%

10/31/2018 2.37% 2.23% 1.66% 11/30/2018 2.43% 2.28% 1.74% 12/31/2018 2.60% 2.45% 1.76% 1/31/2019 2.64% 2.45% 1.45%

0.00%

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2.00%

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3.00%

7-Da

y Gro

ss Y

ield

, Ann

ualiz

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Trend in Weighted Average 7-Day Gross Yield, by Type of Fund

Wtd Avg Gross Prime Wtd Avg Gross Govt & Treas Wtd Avg Gross Tax Exempt

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Wtd Avg Gross Prime Wtd Avg Prime Expense Ratio Wtd Avg Net Prime 1/31/2017 0.91% 0.24% 0.67% 2/28/2017 0.91% 0.23% 0.68% 3/31/2017 1.03% 0.23% 0.80% 4/30/2017 1.08% 0.22% 0.86% 5/31/2017 1.09% 0.22% 0.87% 6/30/2017 1.23% 0.22% 1.01% 7/31/2017 1.27% 0.22% 1.05% 8/31/2017 1.28% 0.22% 1.06% 9/30/2017 1.28% 0.21% 1.07%

10/31/2017 1.29% 0.20% 1.09% 11/30/2017 1.32% 0.20% 1.12% 12/31/2017 1.52% 0.21% 1.31% 1/31/2018 1.58% 0.20% 1.38% 2/28/2018 1.63% 0.20% 1.44% 3/31/2018 1.86% 0.19% 1.67% 4/30/2018 1.96% 0.18% 1.79% 5/31/2018 2.02% 0.18% 1.84% 6/30/2018 2.16% 0.18% 1.98% 7/31/2018 2.18% 0.18% 2.00% 8/31/2018 2.19% 0.18% 2.01% 9/30/2018 2.26% 0.18% 2.09%

10/31/2018 2.37% 0.18% 2.19% 11/30/2018 2.43% 0.18% 2.25% 12/31/2018 2.60% 0.19% 2.42% 1/31/2019 2.64% 0.18% 2.46%

0.00%

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3.00%

7-Da

y Yie

ld, A

nnua

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Trend in Prime MMF Weighted Average 7-Day Gross and Net Yield, and Expense Ratio

Wtd Avg Gross Prime Wtd Avg Prime Expense Ratio Wtd Avg Net Prime

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(Days) Prime Funds Govt & Treas Funds Tax Exempt Funds 1/31/2017 60.4 96.2 26.9 2/28/2017 58.6 93.3 26.0 3/31/2017 59.6 90.7 23.7 4/30/2017 58.7 86.2 22.1 5/31/2017 60.1 83.5 19.6 6/30/2017 64.8 87.4 23.1 7/31/2017 65.1 87.1 23.5 8/31/2017 64.0 86.7 29.1 9/30/2017 61.9 85.9 28.2 10/31/2017 62.3 82.1 26.1 11/30/2017 64.5 85.1 27.1 12/31/2017 62.7 88.7 30.0 1/31/2018 60.2 90.6 26.0 2/28/2018 59.3 90.1 25.2 3/31/2018 62.0 91.1 25.6 4/30/2018 56.7 87.6 22.9 5/31/2018 55.6 85.0 22.9 6/30/2018 58.4 87.7 23.9 7/31/2018 57.9 85.5 22.8 8/31/2018 60.0 87.0 24.3 9/30/2018 62.2 88.9 30.3 10/31/2018 59.7 89.1 30.9 11/30/2018 65.3 87.0 29.7 12/31/2018 60.2 88.3 28.0 1/31/2019 60.0 88.0 27.9

0

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120

Days

Trend in WAL, Weighted by Fund Assets, by Type of Fund Prime Funds Govt & Treas Funds Tax Exempt Funds

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(Days) Prime Funds Govt & Treas Funds Tax Exempt Funds

1/31/2017 30.8 43.5 24.5 2/28/2017 29.3 40.9 23.1 3/31/2017 27.4 38.7 21.3 4/30/2017 28.4 35.2 19.5 5/31/2017 28.8 31.8 16.8 6/30/2017 30.4 33.6 20.5 7/31/2017 31.2 32.3 20.7 8/31/2017 30.6 31.5 26.2 9/30/2017 27.7 32.1 25.7 10/31/2017 26.8 30.1 23.6 11/30/2017 28.0 30.5 24.8 12/31/2017 29.3 32.7 27.9 1/31/2018 27.0 31.1 24.0 2/28/2018 26.5 31.3 23.1 3/31/2018 29.8 33.7 23.6 4/30/2018 26.9 30.4 20.1 5/31/2018 26.1 29.1 20.4 6/30/2018 29.1 31.4 21.1 7/31/2018 30.0 28.9 19.3 8/31/2018 31.2 29.8 21.1 9/30/2018 30.5 33.4 27.3 10/31/2018 27.5 32.2 28.5 11/30/2018 30.9 30.6 27.7 12/31/2018 28.7 30.6 26.1 1/31/2019 30.4 28.7 26.0

05

101520253035404550

Days

Trend in WAM, Weighted by Fund Assets, by Type of Fund Govt & Treas Funds Prime Funds Tax Exempt Funds

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Total Daily Liquidity

Total Weekly Liquidity

1/31/2017 33.6% 50.0% 2/28/2017 32.3% 50.2% 3/31/2017 35.4% 50.3% 4/30/2017 28.9% 48.9% 5/31/2017 34.4% 49.5% 6/30/2017 35.5% 50.1% 7/31/2017 32.1% 49.6% 8/31/2017 31.5% 49.1% 9/30/2017 35.4% 51.5%

10/31/2017 33.2% 50.9% 11/30/2017 32.3% 50.7% 12/31/2017 34.3% 50.4% 1/31/2018 27.7% 49.8% 2/28/2018 30.5% 50.6% 3/31/2018 31.5% 49.1% 4/30/2018 32.3% 50.2% 5/31/2018 29.2% 49.6% 6/30/2018 29.8% 48.7% 7/31/2018 30.9% 49.5% 8/31/2018 34.8% 49.8% 9/30/2018 31.2% 49.6%

10/31/2018 31.9% 49.8% 11/30/2018 32.4% 48.0% 12/31/2018 34.1% 48.9% 1/31/2019 34.2% 48.7%

15%

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30%

35%

40%

45%

50%

55%

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Val

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Trend in Daily and Weekly Liquidity of Prime Money Market Funds

Total Weekly Liquidity Total Daily Liquidity

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Country Prime MMF (Millions) Canada $105,743 Japan $103,889

US $94,930 France $75,596 Sweden $44,616

UK $42,278 Aust/NZ $35,925

Netherlands $32,848 Germany $31,019

Switzerland $24,041 Belgium $10,367 Norway $8,643

Singapore $7,090 Spain $4,718 China $4,536 Other $4,216

Grand Total $630,453

SEC staff had to make judgments in some limited cases as to whether certain securities held in prime money market funds were issued by a specific bank. The banks were then grouped by country based on location of their global headquarters. In general, the calculations include asset-backed CP sponsored by a bank and all repos with that bank as counterparty. If identifiable with a specific bank, money market tranches of ABS are included in the calculation. Securities guaranteed, but not issued by, bank-related entities are not included.

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Prime MMF Holdings of Bank-Related Securities, by Country, January 2019

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Country Change (Millions) France $21,787 Japan $20,870

Netherlands $17,271 Sweden $11,230

Germany $7,954 UK $6,839

Belgium $5,064 US $2,509

Norway $2,213 China $906 Spain $557

Switzerland $159 Other -$91

Singapore -$2,355 Aust/NZ -$4,236 Canada -$17,558

SEC staff had to make judgments in some limited cases as to whether certain securities held in prime money market funds were issued by a specific bank. The banks were then grouped by country based on location of their global headquarters. In general, the calculations include asset-backed CP sponsored by a bank and all repos with that bank as counterparty. If identifiable with a specific bank, money market tranches of ABS are included in the calculation. Securities guaranteed, but not issued by, bank-related entities are not included.

-$20,000

-$15,000

-$10,000

-$5,000

$-

$5,000

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Mill

ions

Change in Prime MMF Bank-Related Securities, by Country, December 2018 to January 2019

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(Millions) Europe Eurozone Americas Asia Pacific

1/31/2017 $191,920 $107,601 $122,864 $86,155 2/28/2017 $204,219 $115,993 $121,228 $90,201 3/31/2017 $186,298 $95,304 $138,311 $97,042 4/30/2017 $216,358 $117,210 $130,493 $98,436 5/31/2017 $222,292 $122,851 $126,919 $95,203 6/30/2017 $178,741 $86,779 $140,245 $101,940 7/31/2017 $210,819 $120,468 $140,817 $98,346 8/31/2017 $236,187 $137,561 $138,973 $100,476 9/30/2017 $219,908 $112,538 $140,983 $107,721

10/31/2017 $247,709 $141,263 $140,003 $103,269 11/30/2017 $243,457 $141,678 $158,724 $109,930 12/31/2017 $172,127 $86,732 $170,109 $114,197 1/31/2018 $244,751 $140,569 $161,705 $104,374 2/28/2018 $246,462 $135,413 $153,706 $107,348 3/31/2018 $213,557 $115,255 $158,769 $106,762 4/30/2018 $254,940 $130,595 $151,439 $108,511 5/31/2018 $243,385 $127,890 $158,453 $109,848 6/30/2018 $213,975 $106,821 $158,771 $110,025 7/31/2018 $255,767 $140,067 $152,578 $109,968 8/31/2018 $252,776 $134,998 $162,799 $111,847 9/30/2018 $234,910 $133,740 $176,959 $119,718

10/31/2018 $276,946 $158,020 $176,179 $118,456 11/30/2018 $268,842 $146,213 $186,792 $124,768 12/31/2018 $202,689 $103,413 $216,533 $138,113 1/31/2019 $275,567 $155,848 $201,238 $153,648

Eurozone is a subset of Europe and Eurozone values are also included in totals for Europe.

SEC staff had to make judgments in some limited cases as to whether certain securities held in prime money market funds were issued by a specific bank. The banks were then grouped by country based on location of their global headquarters. In general, the calculations include asset-backed CP sponsored by a bank and all repos with that bank as counterparty. If identifiable with a specific bank, money market tranches of ABS are included in the calculation. Securities guaranteed, but not issued by, bank-related entities are not included.

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Trend in Prime MMF Holdings of Bank-Related Securities by Major Region

Europe Eurozone Americas Asia_Pacific

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(Millions)

CD

Non-Financial CP and Other Short Term Securities

Govt (Direct &

Repo) Financial Co.

CP ABCP Total

Market Value 1/31/2017 $232,349 $104,006 $105,944 $86,938 $31,280 $560,516 2/28/2017 $243,982 $104,009 $109,092 $94,693 $31,882 $583,658 3/31/2017 $245,654 $93,170 $122,938 $100,704 $31,470 $593,935 4/30/2017 $259,185 $101,768 $105,465 $102,998 $34,261 $603,677 5/31/2017 $257,741 $94,616 $120,056 $103,142 $34,915 $610,470 6/30/2017 $231,652 $83,467 $154,742 $101,583 $38,005 $609,450 7/31/2017 $255,799 $88,453 $136,482 $103,858 $37,676 $622,268 8/31/2017 $271,275 $92,259 $117,587 $118,815 $41,166 $641,102 9/30/2017 $263,070 $93,851 $150,153 $115,276 $38,080 $660,429 10/31/2017 $279,090 $95,196 $137,314 $119,279 $38,932 $669,811 11/30/2017 $283,618 $95,698 $132,108 $126,694 $40,230 $678,348 12/31/2017 $229,575 $98,792 $162,539 $125,719 $41,367 $657,992 1/31/2018 $265,761 $97,725 $120,823 $141,637 $41,962 $667,907 2/28/2018 $256,631 $104,043 $123,698 $143,571 $40,185 $668,128 3/31/2018 $222,924 $98,970 $161,875 $132,047 $39,885 $655,702 4/30/2018 $242,621 $97,577 $163,528 $142,426 $38,018 $684,169 5/31/2018 $227,305 $104,614 $161,880 $146,700 $41,658 $682,156 6/30/2018 $230,096 $95,339 $158,911 $143,163 $41,932 $669,442 7/31/2018 $243,998 $109,146 $156,450 $153,108 $44,428 $707,130 8/31/2018 $240,445 $104,427 $189,323 $150,485 $45,757 $730,438 9/30/2018 $246,243 $109,552 $186,679 $153,670 $47,464 $743,608 10/31/2018 $262,769 $107,399 $172,413 $156,687 $46,840 $746,109 11/30/2018 $263,039 $106,553 $190,315 $156,449 $51,916 $768,272 12/31/2018 $245,797 $99,885 $212,784 $149,081 $55,236 $762,784 1/31/2019 $289,433 $99,421 $216,162 $160,741 $58,251 $824,008

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Trend in Prime MMF Portfolio Composition CD Non-Financial CP and Other Short Term SecuritiesGovt (Direct & Repo) Financial Co. CPABCP

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Proportion of Non-Government Securities in

all Taxable Funds, Security Value 1/31/2017 16.8% 2/28/2017 17.4% 3/31/2017 17.4% 4/30/2017 18.5% 5/31/2017 18.0% 6/30/2017 16.8% 7/31/2017 17.5% 8/31/2017 18.5% 9/30/2017 17.9%

10/31/2017 18.2% 11/30/2017 18.7% 12/31/2017 16.9% 1/31/2018 18.7% 2/28/2018 18.2% 3/31/2018 17.0% 4/30/2018 17.7% 5/31/2018 17.5% 6/30/2018 17.5% 7/31/2018 18.3% 8/31/2018 18.2% 9/30/2018 18.7%

10/31/2018 18.9% 11/30/2018 18.9% 12/31/2018 17.3% 1/31/2019 19.1%

16%

16%

17%

17%

18%

18%

19%

19%

20%

Proportion of Non-Government Securities in all Taxable Funds, Security Value

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All MMF Total

Federal Reserve Repo (Billions)

1/31/2017 $165.2 2/28/2017 $194.0 3/31/2017 $328.8 4/30/2017 $174.3 5/31/2017 $244.1 6/30/2017 $365.1 7/31/2017 $189.7 8/31/2017 $204.1 9/30/2017 $298.5 10/31/2017 $164.4 11/30/2017 $96.2 12/31/2017 $288.1 1/31/2018 $55.1 2/28/2018 $30.9 3/31/2018 $22.6 4/30/2018 $13.7 5/31/2018 $21.5 6/30/2018 $88.8 7/31/2018 $9.0 8/31/2018 $0.4 9/30/2018 $44.9 10/31/2018 $4.8 11/30/2018 $2.5 12/31/2018 $39.6 1/31/2019 $1.0

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Billi

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All MMF Repo with Federal Reserve

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Maturities 60 days and over Maturities 180 days and over 1/31/2017 38.1% 6.9% 2/28/2017 36.0% 7.0% 3/31/2017 35.3% 8.8% 4/30/2017 33.1% 8.2% 5/31/2017 35.0% 8.6% 6/30/2017 39.7% 8.8% 7/31/2017 38.3% 10.3% 8/31/2017 38.6% 10.1% 9/30/2017 36.1% 9.3% 10/31/2017 37.1% 9.7% 11/30/2017 39.1% 10.4% 12/31/2017 37.4% 8.6% 1/31/2018 35.1% 8.6% 2/28/2018 36.2% 8.3% 3/31/2018 40.7% 7.6% 4/30/2018 35.1% 7.0% 5/31/2018 33.9% 6.1% 6/30/2018 37.4% 7.6% 7/31/2018 34.7% 7.5% 8/31/2018 35.8% 7.9% 9/30/2018 35.2% 8.3% 10/31/2018 36.2% 8.0% 11/30/2018 40.7% 8.3% 12/31/2018 36.0% 7.2% 1/31/2019 36.3% 7.9%

0%5%

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Trend in Longer-Maturity Securities in Prime MMFs Maturities 60 days and over Maturities 180 days and over

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If you have any questions or comments about Money Market Fund Statistics, please contact Sharon Pichler and Isaac Kuznits, in the Division of Investment Management, Analytics Office, at Form-NMFP@sec.gov.